Caulk between the brick/mortar and the lintel will hold water in that gets into the wall from above. This area should not be sealed so that the brick and wall can drain and dry to the outside. Through-wall flashing should be installed on top of any lintel that is not completely protected by an overhang. As Jerry mentioned, this will protect the steel lintel.

See BIA Technical Note 7 for how to properly detail this area. Note in figure 14 that "sealant" is pointing to the gap between the bottom of the lintel and the window trim.

Brick Industry Association - BIA